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Finite-sample corrected inference for two-step GMM in time series

Hwang, Jungbin; Valdés, Gonzalo - 2020

Persistent link: https://www.econbiz.de/10012214073

Finite-sample corrected inference for two-step GMM in time series

Hwang, Jungbin; Valdés, Gonzalo - In: Journal of econometrics 234 (2023) 1, pp. 327-352

Persistent link: https://www.econbiz.de/10014364895

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …

Persistent link: https://www.econbiz.de/10011862130

Testing for a shift in trend at an unknown date : a fixed-B analysis of heteroskedasticity autocorrelation robust OLS-based tests

Sayginsoy, Özgen; Vogelsang, Timothy J. - In: Econometric theory 27 (2011) 5, pp. 992-1025

Persistent link: https://www.econbiz.de/10009379760

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...

Persistent link: https://www.econbiz.de/10011334362